We study the product design problem of a revenue-maximizing firm that serves a market where customers are heterogeneous with respect to their valuations and desire for a quality attribute, and are characterized by a perhaps novel model of customer choice behavior. Specifically, instead of...

Product choice when consumers engage in social learning has significant implications on learning outcomes and on the information accumulation rate. In many practical settings, consumers can choose which product to buy, if any, among several possible alternatives. The quality of these products...

We model an electronic limit order book as a multi-class queueing system under fluid dynamics, and formulate and solve a problem of limit and market order placement to optimally buy a block of shares over a short, predetermined time horizon. Using the structure of the optimal execution policy,...

The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., deviations from their respective forecasts, are correlated across stocks, and (ii) this correlation increases during...

Two products of unknown qualities are simultaneously launched by two different firms in the market. An infinite population of consumers with heterogeneous preferences sequentially decide whether to purchase one of the two products or not to buy at all. Arriving consumers estimate the qualities...

This chapter reviews multi-product dynamic pricing models for a revenue maximizing monopolist firm. The baseline model studied in this chapter is of a seller that owns a fixed capacity of a resource that is consumed in the production or delivery of some type of product. The seller selects a...

Traditional monopoly pricing models assume that firms have full information about the market demand and consumer preferences. In this paper we study a prototypical monopoly pricing problem for a seller with limited market information and different levels of demand learning capability under...

We study an aggregated marketplace where potential buyers arrive and submit requests-for-quotes (RFQs). There are n independent suppliers modelled as M=GI=1 queues that compete for these requests. Each supplier submits a bid that comprises of a fixed price and a dynamic target leadtime, and the...

We propose a tractable, data-driven demand estimation procedure based on the use maximum entropy (ME) distributions, and apply it a stochastic capacity control problem motivated from airline revenue management. Specifically, we study the two fare-class "Littlewood" problem in a setting where the...

In modern equity markets, participants have a choice of many exchanges at which to trade. Exchanges typically operate as electronic limit order books operating under a “price-time” priority rule and, in turn, can be modeled as multi-class FIFO queueing systems. A market with multiple...